Sigma Fondsforvaltning AS

Sector Sigma Nordic Fund

Strategy Description

Sector Sigma Nordic Fund is a UCITS long-short equity fund primarily investing in the Nordic region. The fund aims to deliver attractive absolute returns, with targeted volatility below the historical average for Nordic equities, by investing in companies (primarily) listed on the Nordic Stock Exchanges with established business models and operating history. The investment process is research-driven, employing fundamental equity valuation criteria, with tactical implementation based on business cycle analysis. With the inherent risks in the region, the fund runs well-diversified portfolios across different sectors. Trading activity has historically been high as the managers deploy an adaptive portfolio and risk-construction model to size positions around risk events with the overall goal of improving the return and risk characteristics of the fund.

Fund Information

General Information

NHX CategoryEquities
NHX CountryNorway
Legal StructureUCITS
Fund DomicileIreland
Minimum Investment100,000 NOK
AUM -
Inception DateJun 2012
Management Fee1.00%
Performance Fee15.00%

Company Information

CompanySigma Fondsforvaltning AS
PrincipalJannik Arvesen
AddressFilipstad Brygge 2
Oslo, 0125
Phone+47 23 01 29 00
E-mail[email protected]
Websitewww.sector.no
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2018 1.98 1.19 -2.74 1.11 1.48
2017 -0.71 -0.77 -0.11 -0.58 -2.92 -1.18 -1.45 -0.74 2.60 3.01 -3.13 0.49 -5.53
2016 -4.10 -0.95 -0.44 -1.47 1.86 -0.36 -0.44 -0.89 1.77 0.30 2.16 3.95 1.16
2015 0.97 0.20 1.26 -1.78 1.61 -1.59 2.08 0.08 0.61 1.21 1.91 0.35 7.04
2014 4.04 0.05 -0.12 -0.85 -0.03 2.21 -0.42 -0.45 3.45 1.76 2.89 2.85 16.32
2013 1.13 3.64 -0.90 1.56 2.32 0.21 1.82 2.48 4.37 2.10 2.92 1.59 25.75
2012 0.14 0.69 0.11 -0.60 -0.06 -1.37 0.58 -0.52

Portfolio Managers

 
No data filled

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -8.18% 8 0 01/2017 -
2 -6.82% 4 8 01/2016 12/2016
3 -2.02% 3 3 09/2012 02/2013
4 -1.79% 3 1 04/2015 07/2015
5 -1.00% 3 1 03/2014 06/2014

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.16%-0.20%-0.17%0.17%0.09%
% Positive66.67%66.67%50.00%45.83%50.00%
Avg. Pos. Period1.15%1.19%1.73%1.86%1.57%
Avg. Neg. Period-2.74%-2.94%-2.03%-1.23%-1.37%
Sharpe Ratio-0.28-0.32-0.250.350.20
Sortino Ratio-0.36-0.42-0.370.500.24
Monthly Volatility1.83%2.00%2.09%1.84%1.80%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.37%-4.10%.60%.35%1.11%60.56%
3 Months 9.67%-5.46%1.87%1.32%-.49%69.57%
6 Months 18.79%-6.83%3.91%3.90%-1.21%71.21%
1 Year 29.37%-5.53%8.49%7.41%-2.02%73.33%
2 Years 46.27%-4.57%17.86%12.90%4.07%89.58%
3 Years 56.93%.21%27.29%24.98%3.16%100.00%
5 Years 52.48%43.32%47.64%47.81%43.94%100.00%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Chart not applicable - The program has no AUM data

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Strategy Description

Sector Sigma Nordic Fund is a UCITS long-short equity fund primarily investing in the Nordic region. The fund aims to deliver attractive absolute returns, with targeted volatility below the historical average for Nordic equities, by investing in companies (primarily) listed on the Nordic Stock Exchanges with established business models and operating history. The investment process is research-driven, employing fundamental equity valuation criteria, with tactical implementation based on business cycle analysis. With the inherent risks in the region, the fund runs well-diversified portfolios across different sectors. Trading activity has historically been high as the managers deploy an adaptive portfolio and risk-construction model to size positions around risk events with the overall goal of improving the return and risk characteristics of the fund.

Fund Information

General Information

NHX CategoryEquities
NHX CountryNorway
Legal StructureUCITS
Fund DomicileIreland
Minimum Investment100,000 NOK
AUM -
Inception DateJun 2012
Management Fee1.00%
Performance Fee15.00%

Company Information

CompanySigma Fondsforvaltning AS
PrincipalJannik Arvesen
AddressFilipstad Brygge 2
Oslo, 0125
Phone+47 23 01 29 00
E-mail[email protected]
Websitewww.sector.no
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2018 1.98 1.19 -2.74 1.11 1.48
2017 -0.71 -0.77 -0.11 -0.58 -2.92 -1.18 -1.45 -0.74 2.60 3.01 -3.13 0.49 -5.53
2016 -4.10 -0.95 -0.44 -1.47 1.86 -0.36 -0.44 -0.89 1.77 0.30 2.16 3.95 1.16
2015 0.97 0.20 1.26 -1.78 1.61 -1.59 2.08 0.08 0.61 1.21 1.91 0.35 7.04
2014 4.04 0.05 -0.12 -0.85 -0.03 2.21 -0.42 -0.45 3.45 1.76 2.89 2.85 16.32
2013 1.13 3.64 -0.90 1.56 2.32 0.21 1.82 2.48 4.37 2.10 2.92 1.59 25.75
2012 0.14 0.69 0.11 -0.60 -0.06 -1.37 0.58 -0.52

Portfolio Managers

 
No data filled

Return Statistics

Last Month Return -
3 Month Return -0.49%
Year to Date Return 1.48%
12 Month Return -2.02%
36 Month Return 3.16%
Total Return Annualized 7.22%
Winning Months (%) 60.56%
Average Winning Month 1.71%
Average Losing Month -1.11%
Total Return Cumulative 51.04%

Risk Statistics (12M)

1 Year
Sharpe Ratio-0.25
Sortino Ratio-0.37
Sterling-0.13
Calmar-0.33
Skewness-0.03
Kurtosis-0.95
Maximum Drawdown-6.16%
Correlation vs S&P 5000.20
Annualized Volatility7.23%
Annualized Down. Deviation3.23%

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -8.18% 8 0 01/2017 -
2 -6.82% 4 8 01/2016 12/2016
3 -2.02% 3 3 09/2012 02/2013
4 -1.79% 3 1 04/2015 07/2015
5 -1.00% 3 1 03/2014 06/2014

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.16%-0.20%-0.17%0.17%0.09%
% Positive66.67%66.67%50.00%45.83%50.00%
Avg. Pos. Period1.15%1.19%1.73%1.86%1.57%
Avg. Neg. Period-2.74%-2.94%-2.03%-1.23%-1.37%
Sharpe Ratio-0.28-0.32-0.250.350.20
Sortino Ratio-0.36-0.42-0.370.500.24
Monthly Volatility1.83%2.00%2.09%1.84%1.80%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.37%-4.10%.60%.35%1.11%60.56%
3 Months 9.67%-5.46%1.87%1.32%-.49%69.57%
6 Months 18.79%-6.83%3.91%3.90%-1.21%71.21%
1 Year 29.37%-5.53%8.49%7.41%-2.02%73.33%
2 Years 46.27%-4.57%17.86%12.90%4.07%89.58%
3 Years 56.93%.21%27.29%24.98%3.16%100.00%
5 Years 52.48%43.32%47.64%47.81%43.94%100.00%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.